Multivalued backward stochastic differential equations with time delayed generators

DOI10.2478/S11533-014-0434-XMaRDI QIDQ403184zbMATH OpenOpenAlexFDO

Authors Bakarime Diomande, Lucian Maticiuc

Publication date 29 August 2014

Published in Central European Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://arxiv.org/abs/1305.7170

zbMATH Keywords

backward stochastic differential equationssubdifferential operatortime-delayed generators

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Variational and other types of inclusions (47J22) Variational inequalities (49J40)

Abstract: Our aim is to study the following new type of multivalued backward stochastic differential equation: [ left{�egin{array} [c]{r}-dYleft(t ight) +partialvarphileft(Yleft(t ight) ight) dt i Fleft(t,Yleft(t ight),Zleft(t ight),Y_{t},Z_{t} ight) dt+Zleft(t ight) dWleft(t ight),;0leq tleq T,medskip\ multicolumn{1}{l}{Yleft(T ight) =xi,}end{array} ight. ] where $partialvarphi$ is the subdifferential of a convex function and $left(Y_t,Z_{t}ight):=(Y(t+heta),Z(t+heta){)}_{hetainlbrack-T,0]}$ represent the past values of the solution over the interval $left[0,tight]$. Our results are based on the existence theorem from Delong & Imkeller, Ann. Appl. Probab., 2010, concerning backward stochastic differential equations with time delayed generators.

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Cited in

(4)

• Reflected backward stochastic differential equations with time-delayed generators
• Backward stochastic variational inequalities on random interval
• Backward stochastic evolution equations with time delay generators in Hilbert spaces
• Anticipated backward stochastic variational inequalities with generalized reflection

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